RE: [R] irregular time series

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From: Heywood, Giles (Giles.Heywood@commerzbankib.com)
Date: Tue 25 May 2004 - 19:11:50 EST


Message-id: <E65C272ECD3BD51196E500508B6658FE08CD946A@xmx6lonib.lonib.commerzbank.com>

The 'its' class may be useful to you for printing/plotting/aligning data,
but as Jason says, you will need to rely on other packages such as stats
(formerly ts) for analysis, using the appropriate na.action.

Two comments in addition:

Since your data is (from what you say) regular but incomplete, you may well
not need any of the irregular time-series functionality.

In the frequency domain, I should point out that Nyquist frequency is a
reciprocal function of the sample interval (e.g. daily), not the sample
length. Increasing the sample length will in fact reduce the sampling
interval in the frequency domain, leaving Nyquist unchanged.

- Giles

> -----Original Message-----
> From: r-help-bounces@stat.math.ethz.ch
> [mailto:r-help-bounces@stat.math.ethz.ch]On Behalf Of Jason Turner
> Sent: 20 May 2004 16:45
> To: McClatchie, Sam (PIRSA-SARDI)
> Cc: 'r-help@lists.R-project.org'
> Subject: Re: [R] irregular time series
>
>
> On Thu, May 20, 2004 at 02:23:46PM +0930, McClatchie, Sam
> (PIRSA-SARDI) wrote:
> [long time series, broken in two with a gap]
> > I realise that I could just break each series into two segments and
> > cross-correlate with the shorter series, but I'd rather
> deal with the whole
> > series to increase the nyquist frequency. I think the its
> function in the
> > irregular time series package will create a class its
> object with the right
> > time stamps, but can this then be used in the same was as a
> class ts object
> > for the correlation and spectral anayses?
>
> its does some nice things for storing, plotting, and manipulating
> irregular time series, but isn't long on the analysis.
>
> A few options:
>
> 1) Analyze the two sub-series separately.
> 2) There is some merit to de-mean or de-trending both series,
> zero-padding the shorter so its length matches the longer, and
> performing spectral analysis that way. Frequencies near zero
> should be treated with suspicion, however.
> 3) Jim Lindsey has some continuous ARMA and Kalman filter routines
> on his site (Google for "Lindsey" and "rmutil", which is the
> name of one of those packages).
> 4) I'm working on an R version of the Lomb periodogram, which
> was built for irregular series, but I've no guarantees when I'll
> roll it up - rather busy most days. I do remember seeing an S
> version on someone's web page, but that was a while ago, and it
> was the "direct" or slow method.
>
> Hope that helps
>
> Jason
>
>
>
> --
> Indigo Industrial Controls Ltd.
> http://www.indigoindustrial.co.nz
> 64-21-343-545
> jasont@indigoindustrial.co.nz
>
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